iTrend JMA

ÿþ//------------------------------------------------------------------

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "iTrendd JMA"

//------------------------------------------------------------------

#property indicator_separate_window

#property indicator_buffers 8

#property indicator_plots   5

#property indicator_label1  "iTrend up"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrLimeGreen,clrLimeGreen

#property indicator_label2  "iTrend down"

#property indicator_type2   DRAW_FILLING

#property indicator_color2  clrDeepPink,clrDeepPink

#property indicator_label3  "iTrend line up"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrDarkGray

#property indicator_width3  2

#property indicator_label4  "iTrend line down"

#property indicator_type4   DRAW_LINE

#property indicator_color4  clrDarkGray

#property indicator_width4  2

#property indicator_label5  "iTrend"

#property indicator_type5   DRAW_COLOR_LINE

#property indicator_color5  clrDarkGray,clrLime,clrHotPink

#property indicator_style5  STYLE_SOLID

#property indicator_width5  2



input int                ItPeriod          = 20;             // iTrend period

input ENUM_APPLIED_PRICE ItPrice           = PRICE_CLOSE;    // Price

input int                LevelBars         = 300;            // Look back period for levels

input double             LevelFactor       = 0.283;          // Levels factor



double itrend[],itrendc[],lup[],ldn[],fillu[],filluz[],filld[],filldz[];

//+------------------------------------------------------------------+

//|                                                                  |

//+------------------------------------------------------------------+

int OnInit()

  {

   SetIndexBuffer(0,fillu,INDICATOR_DATA);

   SetIndexBuffer(1,filluz,INDICATOR_DATA);

   SetIndexBuffer(2,filld,INDICATOR_DATA);

   SetIndexBuffer(3,filldz,INDICATOR_DATA);

   SetIndexBuffer(4,lup,INDICATOR_DATA);

   SetIndexBuffer(5,ldn,INDICATOR_DATA);

   SetIndexBuffer(6,itrend,INDICATOR_DATA);

   SetIndexBuffer(7,itrendc,INDICATOR_COLOR_INDEX);

   PlotIndexSetInteger(0,PLOT_SHOW_DATA,false);

   PlotIndexSetInteger(1,PLOT_SHOW_DATA,false);

   IndicatorSetString(INDICATOR_SHORTNAME,"iTrend JMA ("+(string)ItPeriod+")");

   return(0);

  }

//+------------------------------------------------------------------+

//|                                                                  |

//+------------------------------------------------------------------+

int OnCalculate(const int rates_total,

                const int prev_calculated,

                const datetime &time[],

                const double &open[],

                const double &high[],

                const double &low[],

                const double &close[],

                const long &tick_volume[],

                const long &volume[],

                const int &spread[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(-1);

   for(int i=(int)MathMax(prev_calculated-1,0); i<rates_total && !IsStopped(); i++)

     {

      double ma = getPrice(ItPrice,open,close,high,low,i,rates_total);

      double mv = iSmooth(ma,ItPeriod,0,i,rates_total,0);

      fillu[i] = (ma - mv);                lup[i] = fillu[i]; filluz[i] = 0;

      filld[i] = (-(low[i]+high[i]-2*mv)); ldn[i] = filld[i]; filldz[i] = 0;



      double hi=MathMax(fillu[i],filld[i]);

      for(int k=1; k<LevelBars && (i-k)>=0; k++) hi=MathMax(hi,MathMax(fillu[i-k],filld[i-k]));

      itrend[i]  = hi*LevelFactor;

      itrendc[i] = (fillu[i]>itrend[i]) ? 1 : (filld[i]>itrend[i]) ? 2 : (i>0) ? itrendc[i-1] : 0;

     }

   return(rates_total);

  }



#define _smoothInstances     1

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

int    m_size=0;

//+------------------------------------------------------------------+

//|                                                                  |

//+------------------------------------------------------------------+

double iSmooth(double price,double length,double phase,int r,int bars,int instanceNo=0)

  {

#define bsmax  5

#define bsmin  6

#define volty  7

#define vsum   8

#define avolty 9



   if(ArrayRange(m_wrk,0)!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); instanceNo*=_smoothInstancesSize;

   if(r==0 || length<=1) { int k=0; for(; k<7; k++) m_wrk[r][instanceNo+k]=price; for(; k<10; k++) m_wrk[r][instanceNo+k]=0; return(price); }



   double len1   = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);

   double pow1   = MathMax(len1-2.0,0.5);

   double del1   = price - m_wrk[r-1][instanceNo+bsmax];

   double del2   = price - m_wrk[r-1][instanceNo+bsmin];

   int    forBar = MathMin(r,10);



   m_wrk[r][instanceNo+volty]=0;

   if(MathAbs(del1) > MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del1);

   if(MathAbs(del1) < MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del2);

   m_wrk[r][instanceNo+vsum]=m_wrk[r-1][instanceNo+vsum]+(m_wrk[r][instanceNo+volty]-m_wrk[r-forBar][instanceNo+volty])*0.1;



   m_wrk[r][instanceNo+avolty]=m_wrk[r-1][instanceNo+avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(m_wrk[r][instanceNo+vsum]-m_wrk[r-1][instanceNo+avolty]);

   double dVolty=(m_wrk[r][instanceNo+avolty]>0) ? m_wrk[r][instanceNo+volty]/m_wrk[r][instanceNo+avolty]: 0;

   if(dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);

   if(dVolty < 1)                      dVolty = 1.0;





   double pow2 = MathPow(dVolty, pow1);

   double len2 = MathSqrt(0.5*(length-1))*len1;

   double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));



   if(del1 > 0) m_wrk[r][instanceNo+bsmax] = price; else m_wrk[r][instanceNo+bsmax] = price - Kv*del1;

   if(del2 < 0) m_wrk[r][instanceNo+bsmin] = price; else m_wrk[r][instanceNo+bsmin] = price - Kv*del2;





   double corr  = MathMax(MathMin(phase,100),-100)/100.0 + 1.5;

   double beta  = 0.45*(length-1)/(0.45*(length-1)+2);

   double alpha = MathPow(beta,pow2);



   m_wrk[r][instanceNo+0] = price + alpha*(m_wrk[r-1][instanceNo+0]-price);

   m_wrk[r][instanceNo+1] = (price - m_wrk[r][instanceNo+0])*(1-beta) + beta*m_wrk[r-1][instanceNo+1];

   m_wrk[r][instanceNo+2] = (m_wrk[r][instanceNo+0] + corr*m_wrk[r][instanceNo+1]);

   m_wrk[r][instanceNo+3] = (m_wrk[r][instanceNo+2] - m_wrk[r-1][instanceNo+4])*MathPow((1-alpha),2) + MathPow(alpha,2)*m_wrk[r-1][instanceNo+3];

   m_wrk[r][instanceNo+4] = (m_wrk[r-1][instanceNo+4] + m_wrk[r][instanceNo+3]);





   return(m_wrk[r][instanceNo+4]);



#undef bsmax

#undef bsmin

#undef volty

#undef vsum

#undef avolty

  }

//+------------------------------------------------------------------+

//|                                                                  |

//+------------------------------------------------------------------+

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }

//+------------------------------------------------------------------+